ISSN:0090-9491    

DOI:10.1080/17442507808833161

出版商:Gordon and Breach Science Publishers, Inc    

年代:1981

数据来源: Taylor

摘要:

There has been considerable interest lately in the complexity of solving stochastic differential equations, for example, can they be solved individually for each sample path. In this note we unify what several researchers have indicated, namely that the stochastic complexity depends on the Lie algebra generated by the vector fields multiplying the noises and does not depend on the drift term.

ISSN:0090-9491    

DOI:10.1080/17442508108833162

出版商:Gordon and Breach Science Publishers, Inc    

年代:1981

数据来源: Taylor

摘要:

The stability of an elementary type of stochastic differential equations driven by multidimensional noises is explained by using non-commutative power series.

ISSN:0090-9491    

DOI:10.1080/17442508108833163

出版商:Gordon and Breach Science Publishers, Inc    

年代:1981

数据来源: Taylor

摘要:

On donne une condition nécessaire pour approacher les solutions d'une équation différentielle stochastique de la formepar des systémesau moyen de la commutativité des champs Xi,i=1,2,…,p. La suffisance a été montrée par Lobry et Freedom-Willems.

ISSN:0090-9491    

DOI:10.1080/17442508108833164

出版商:Gordon and Breach Science Publishers, Inc    

年代:1981

数据来源: Taylor

摘要:

The modeling and approximation of stochastic differential equations driven by semi-martingales with both jump and continuous components are considered. A model, which is a generalization of Mcshane's canonical extension and the stochastic differential equations of Fisk-Stratonovich, is defined and analyzed by means of the theory of semimartingales. It is proved that this generalized canonical extension possesses many of the same desirable properties as that of Mcshane, but it is applicable to a much wider class of noise processes. In particular, several approximation (or continuity or stability) results are proved; these show (under various sets of hypotheses and in various topologies) that if a sequence of noise processeszmconverges to a noise processz, then the solutions of the canonical extension corresponding tozmconverge to the solution corresponding toz.

ISSN:0090-9491    

DOI:10.1080/17442508108833165

出版商:Gordon and Breach Science Publishers, Inc    

年代:1981

数据来源: Taylor

摘要:

This paper concerns the problem of reduction of stochastic differential equations of a special type to ordinary differential equations parametrized by ωεΩ New representations for the optimal filtration estimate of a conditional Gaussian process are obtained.

ISSN:0090-9491    

DOI:10.1080/17442508108833166

出版商:Gordon and Breach Science Publishers, Inc    

年代:1981

数据来源: Taylor